We examine the introduction of an asymmetric, randomized speed bump that allows low-latency liquidity providers to avoid order-flow driven adverse selection by reacting to activity on other venues. The speed bump segments order flow and increases profits for fast liquidity providers on that...

We examine liquidity across different types of markets by using execution costs as a proxy for liquidity. We conduct a thorough analysis of execution costs on the NYSE versus Electronic Markets. We adopt a variety of techniques attempting to correct for the selection bias problem. Unlike current...

This paper deals with ‘investment timing’, or how to make decisions on long-term investments to mitigate catastrophic risk where the risk is driven by trends and seasonality, and interest rates vary stochastically over time. Our model combines real options theory, extreme value theory and...